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Kombinierte Liquiditäts- und Solvenzkennzahlen und ein darauf basierendes Insolvenzprognosemodell für deutsche GmbHs

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Author Info
Volodymyr Perederiy
Abstract

Eine große Herausforderung der multivariablen Analyse mit bilanziellen Kennzahlen besteht in der Identifikation derjenigen Kennzahlen, die zur besten Modellperformance führen und dabei möglichst leicht interpretierbar und intuitiv bleiben. Die Menge der in Frage kommenden Kennzahlen ist in der Regel groß; viele Kennzahlen weisen Abhängigkeiten und Korrelationen auf, was im multivariaten Kontext zu Multikollinearitätsproblemen führt. Diese Aussagen betreffen insbesondere auch die Insolvenzprognosemodellierung auf Grundlage von bilanziellen Informationen. In der vorliegenden Studie wird mittels einer einfachen Gewichtung und Division von geeigneten Bilanz- und GuV-Posten eine kombinierte Kennzahl gebildet, welche die Informationen aus den meisten traditionellen Liquiditäts- und Solvenzkennzahlen komprimiert und somit eine diesbezügliche Kennzahlenauswahl überflüssig macht. Die kombinierte Kennzahl wird anschließend – neben einigen Kennzahlen aus anderen Kennzahlenkategorien (Rentabilität, Effizienz, Unternehmensgröße) – zur Insolvenzprognose für deutsche GmbHs verwendet. Es wird demonstriert, dass die kombinierte Kennzahl die Insolvenzprognose verbessert und dabei leicht interpretierbar bleibt.

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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2007-060.

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Length: 24 pages
Date of creation: Oct 2007
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Handle: RePEc:hum:wpaper:sfb649dp2007-060

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Related research
Keywords: Logistische Regression Variablenauswahl Insolvenzprognose Bilanzanalyse bilanzielle Kennzahlen Liquidität Solvenz

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure
G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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  22. Oliver Volckart, 2007. "Rules, Discretion or Reputation? Monetary Policies and the Efficiency of Financial Markets in Germany, 14th to 16th Centuries," SFB 649 Discussion Papers SFB649DP2007-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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  24. Alexander Schied, 2007. "Robust Optimal Control for a Consumption-investment Problem," SFB 649 Discussion Papers SFB649DP2007-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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  26. Anja Schöttner & Veikko Thiele, 2007. "Promotion Tournaments and Individual Performance Pay," SFB 649 Discussion Papers SFB649DP2007-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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  28. Weber, Enzo, 2007. "Regional and Outward Economic Integration in South-East Asia," MPRA Paper 6136, University Library of Munich, Germany, revised Dec 2007. [Downloadable!]
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